Mélanges de GLMs et nombre de composantes : application ... - Scor
Mélanges de GLMs et nombre de composantes : application ... - Scor
Mélanges de GLMs et nombre de composantes : application ... - Scor
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Chapitre 2. Crises <strong>de</strong> corrélation <strong>de</strong>s comportements<br />
Bibliographie<br />
Biard, R., Lefèvre, C. and Loisel, S. (2008), ‘Impact of correlation crises in risk theory :<br />
Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some<br />
in<strong>de</strong>pen<strong>de</strong>nce and stationarity assumptions are relaxed’, Insurance : Mathematics and Economics<br />
43(3), 412 – 421. 48<br />
Denuit, M., Lefèvre, C. and Shaked, M. (1998), ‘The s-convex or<strong>de</strong>rs among real random<br />
variables, with <strong>application</strong>s’, Math. Inequal. Appl. 1(4), 585–613. 55<br />
Lefèvre, C. and Utev, S. (1996), ‘Comparing sums of exchangeable Bernoulli random variables’,<br />
J. Appl. Probab. 33(2), 285–310. 55<br />
Loisel, S. (2008), ‘From liquidity crisis to correlation crisis, and the need for quanls in enterprise<br />
risk management’, pp. 75–77. in Risk Management : The Current Financial Crisis, Lessons<br />
Learned and Future Implications, Edited by the SOA, CAS and CIA. 48<br />
Loisel, S. (2010), ‘Contribution à la gestion quantitative <strong>de</strong>s risques en assurance’, Habilitation<br />
Thesis, Université Lyon 1 . 65<br />
Loisel, S. and Milhaud, X. (2011), ‘From <strong>de</strong>terministic to stochastic surren<strong>de</strong>r risk mo<strong>de</strong>ls :<br />
Impact of correlation crises on economic capital’, European Journal of Operational Research<br />
214(2). 45, 58<br />
Marshall, A. and Olkin, I. (1979), Inequalities : Theory of Majorization and Its Applications,<br />
Aca<strong>de</strong>mic Press, New York. 56<br />
Martinussen, T. and Scheike, T. (2006), Dynamic Regression Mo<strong>de</strong>ls for Survival Data, Springer.<br />
48<br />
McNeil, A., Frey, R. and Embrechts, P. (2005), Quantitative Risk Management, Princ<strong>et</strong>on<br />
Series In Finance. 50<br />
Planch<strong>et</strong>, F. and Thérond, P. (2006), Modèles <strong>de</strong> durée : <strong>application</strong>s actuarielles, Economica<br />
(Paris). 48<br />
Ramsay, J., Hooker, G. and Graves, S. (2009), Functional Data Analysis with R and MATLAB,<br />
Springer. 48<br />
Ramsay, J. and Silverman, B. (2005), Functional Data Analysis, Second Edition, Spinger,<br />
Springer Series in Statistics. 48<br />
Viquerat, S. (2010), On the efficiency of recursive evaluations in relation to risk theory <strong>application</strong>s,<br />
PhD thesis. 52<br />
66